The course covers the fundamental methods and concepts in empirical finance, with a focus on: predictability of asset returns, the impact of market microstructure, event analysis, the capital asset pricing model, multi factor prices and present value relations. The tools for the estimation and testing of models in empirical finance are developed and applied to specific models. The role of basic assumptions underlaying the different models and the techniques currently used in empirical finance are studied and evaluated. The introduced concepts and frameworks will be illustrated with simple applications using appropriate statistical software.
90 credits of which at least 7.5 credits in mathematics containing calculus, such as One-dimensional calculus 1 or Mathematical Economics I D7 and 7.5 credits in statistics or mathematical statistics or Econometrics I D12 and Financial economics D2 or Financial economics II D21 or Financial economics 3 or equivalent. Proficiency in English equivalent to the Swedish upper secondary course English 6.
The online application opens 16 September 2024 at 13:00 CET.
Application deadline is
15 October 2024. How to apply
Application and tuition fees
As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.